Driven to Distraction: Extraneous Events and Underreaction to Earnings News

@article{Hirshleifer2006DrivenTD,
  title={Driven to Distraction: Extraneous Events and Underreaction to Earnings News},
  author={David Hirshleifer and Sonya Seongyeon Lim and Siew Hong Teoh},
  journal={Capital Markets: Market Efficiency},
  year={2006}
}
Recent studies propose that limited investor attention causes market underreactions. This paper directly tests this explanation by measuring the information load faced by investors. The "investor distraction hypothesis" holds that extraneous news inhibits market reactions to relevant news. We find that the immediate price and volume reaction to a firm's earnings surprise is much weaker, and post-announcement drift much stronger, when a greater number of same-day earnings announcements are made… 
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